Derivatives Insights & Innovations

In this month's issue:


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Dear {{lead.Full Name:default=Derivative Insights & Innovations Subscriber}},

2016 marks the year that Numerix celebrates 20 years of innovation in financial technology. Since 1996, Numerix has continued to grow and adapt to the demands of the ever-changing derivatives marketplace.

Recognizing opportunity in crisis, Numerix has reinvented itself through the years—from pioneering the derivatives pricing space to pivoting into the risk space, post-financial crisis. The watershed moment for Numerix was in the wake of the Lehman Brothers collapse, when Numerix was selected on behalf of the Lehman creditors to value millions of terminated trades. It became clear that a more integrated and holistic approach for derivatives risk management was required.

20th Anniversary
As we look ahead, it is currently another time of profound transformation in the derivative’s industry.

Given the evolution of the derivatives landscape, Numerix continues to work hard to be agile enough to support this transformation— with the mission of changing the way our financial and insurance industry clients are capable of using technology to capture one view of risk and to meet today’s growing computational and big data challenges.

At this time, I’d like to personally thank you—our clients, partners and peers for your support and interest in Numerix through the years— and for helping us to become all that we are today.

We invite you to take a look back on the Numerix timeline and witness our company’s evolution over the past two decades.

Steven R,, O’Hnalon, Chief Executive Officer & President of Numerix
Steven R, O’Hanlon, Chief Executive Officer & President of Numerix

Risk Technology


Negative Rates Map

Can your organization's IT infrastructure support the newly finalized FRTB changes? Word on the street is that implementing FRTB by the 2019 deadline will be a herculean task for many banks, and the capital impact of the regulation could be substantial – to the tune of up to a 40% market risk capital increase compared to the current framework, as estimated by the BCBS.
View Info Graphic


Blog | Is Your Organization Prepared for the Next Evolution of FRTB Guidelines?

With the new year upon us, the buzz surrounding the finalization of the BCBS Fundamental Review of the Trading Book guidelines continues to take on a center stage of its own. How will new regulations impact your capital requirements, technology infrastructure and derivative trading strategy going forward? Read Blog

 On-Demand Webinar

Ping Sun

KVA for Counterparty Credit Risk Capital & CVA Capital Simulations

Join featured speaker Dr. Andrew McClelland, Director of Quantitative Research at Numerix, for a quantitative introduction to KVA calculations for Counterparty Credit Risk (CCR) capital and CVA capital. Dr. McClelland discusses the simulation of future CCR and CVA capital requirements, highlight the importance of future conditional Expected Exposure (EE) profiles, and explores the evaluation of such profiles via Least Squares Monte Carlo (LSMC). View Webinar

 Video Blogs

Understanding Real World ESG

In this video blog Dan Schobel, Actuary for Numerix, discusses the use cases for real world Economic Scenario Generation and addresses how insurance companies are using these scenarios to improve their risk management capabilities while gaining a new perspective on their business. He also addresses some of the common challenges that institutions face when implementing real world ESGs, including model selection and calibration. Watch Video

Numerix Regional Trends & Analysis: The Nordics

Part 1: 2015 Structured Products Recap & 2016 Outlook

In this Part I video blog Tim Mortimer, Managing Director for Future Value Consultants and Keith Styrcula, Chairman and Founder of the Structured Products Association recap the key issues and trends impacting the structured products market in 2015 including structured product issuance, underlyings and product design—and also provide their thoughts on 2016. Watch Video

Part I and Part II

Part II: PRIIPs Update

In this Part II video blog, our experts discuss the latest regulatory developments surrounding the incoming packaged retail and insurance-based investment products (PRIIPs) regulation. Watch Video

 Insights and Innovations

Regulatory Guide to Understanding Bank Capital and Margin Requirements

Blog | Regulatory Guide to Understanding Bank Capital and Margin Requirements

Developed by Dr. Serguei Issakov, Global Head of Quantitative Research at Numerix, the maps in this article outline the landscape of bank capital and margin requirements. The first diagram lists three components of capital calculation for bilateral trades (market risk, CCR, and CVA capital). It also includes margin for bilateral trades. The second diagram outlines the current market considerations for Capital Value Adjustment (KVA) and Margin Value Adjustment (MVA). Read Blog

Blog | Best of 2015 Research & Insights: A Collection of Resources to Help Your Business

From Basel III to FRTB, it's a time for change and looking ahead toward the continuing development of best practices and IT infrastructure management needs. To help your business navigate the changing derivatives landscape, we are providing this toolkit of resources, highlighting some of our best content from 2015. Read Blog

 In the News

Waters Technology

Numerix Oneview Brings Together Pricing and Trading Risk Analytics to Manage XVA, Market Risk, Collateral and FRTB Requirements in One Place

Being named this year’s Market Risk Sell Side Product of Year, Numerix Oneview pushes the boundaries of what risk management software can achieve. Read More

Antonov's Breakthrough Efforts in XVA and Negative Rates Recognized by Risk Magazine

Dr. Alexandre Antonov, Senior Vice President of Quantitative Research and 18 year veteran of Numerix, has been named Quant of the Year in the 2016 Risk Awards. Read More

 Upcoming events and webinars

Feb 29 - March 2 | CBOE Risk Management Conference, Florida

March 1-2 | GARP 17th Annual Risk Management Convention New York Marriott Marquis

March 2 | Webinar: Real World PFE Part II

March 2-3 | NBAD conference, Abu Dhabi, UAE

March 9 | Webinar: Current Best Practices in XVA Calculations

For more information about Numerix webinars please visit our Events page.

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